Carpe Diem: Can daily oil prices improve model-based forecasts of the real price of crude oil?

Amor Aniss Benmoussa, Reinhard Ellwanger, Stephen Snudden ()
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Amor Aniss Benmoussa, Reinhard Ellwanger, Stephen Snudden: Wilfrid Laurier University, https://stephensnudden.com/

LCERPA Working Papers from Laurier Centre for Economic Research and Policy Analysis

Abstract: This paper proposes techniques to include information from the underlying nominal daily series in model-based forecasts of average real series. We apply these approaches to forecasts of the real price of crude oil. Models utilizing information from daily prices yield large forecast improvements and, in some cases, almost halve the forecast error compared to current specifications. We demonstrate for the first time that model-based forecasts of the real price of crude oil can outperform the traditional random walk forecast, which is the end-of-month no-change forecast, at short forecast horizons.

Keywords: Forecasting and Prediction Methods; Temporal Aggregation; Oil Prices (search for similar items in EconPapers)
JEL-codes: C18 C53 Q47 (search for similar items in EconPapers)
Date: 2023-12
New Economics Papers: this item is included in nep-ene and nep-for
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Persistent link: https://EconPapers.repec.org/RePEc:wlu:lcerpa:bm0141

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